Ground Rules. FTSE UK Equally Weighted Index Series v2.1

Transcription

1 Ground Rules FTSE UK Equally Weighted Index Series v2.1 ftserussell.com January 2018

2 Contents 1.0 Introduction Management Responsibilities FTSE Russell Index Policies Eligible Securities Periodic Review of Constituent Companies Changes to Constituent Companies Corporate Actions and Events Index Calculation Appendix A: Index Opening and Closing Hours Appendix B: Status of Index Appendix C: Further Information FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

3 Section 1 Introduction 1.0 Introduction 1.1 This document sets out the Ground Rules for the construction and management of the FTSE UK Equally Weighted Index Series. 1.2 The FTSE UK Equally Weighted Index Series is designed to represent the performance of a set of equally weighted constituent companies drawn from the FTSE UK index series. The FTSE UK Equally Weighted Index Series compromises: FTSE 100 Equally Weighted Index FTSE 250 ex Investment Trusts Equally Weighted Index FTSE 350 ex Investment Trusts Equally Weighted Index 1.3 These Ground Rules should be read in conjunction with the FTSE UK Index Series Ground Rules which are available at Price and Total Return indexes will be calculated in UK Sterling on a real-time basis. The Total Return indexes are based on ex dividend adjustments. 1.5 FTSE Russell FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE Global Debt Capital Markets Limited (and its subsidiaries FTSE Global Debt Capital Markets Inc. and MTSNext Limited), Mergent, Inc., FTSE Fixed Income LLC and The Yield Book Inc. 1.6 FTSE Russell hereby notifies users of the index that it is possible that circumstances, including external events beyond the control of FTSE Russell, may necessitate changes to, or the cessation of, the index and therefore, any financial contracts or other financial instruments that reference the index or investment funds which use the index to measure their performance should be able to withstand, or otherwise address the possibility of changes to, or cessation of, the index. 1.7 Index users who choose to follow this index or to buy products that claim to follow this index should assess the merits of the index s rules-based methodology and take independent investment advice before investing their own or client funds. No liability whether as a result of negligence or otherwise is accepted by FTSE Russell for any losses, damages, claims and expenses suffered by any person as a result of: FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

4 any reliance on these Ground Rules, and/or any errors or inaccuracies in these Ground Rules, and/or any non-application or misapplication of the policies or procedures described in these Ground Rules, and/or any errors or inaccuracies in the compilation of the index or any constituent data. FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

5 Section 2 Management Responsibilities 2.0 Management Responsibilities 2.1 FTSE International Limited (FTSE) FTSE is the benchmark administrator of the index FTSE is responsible for the daily calculation, production and operation of the FTSE UK Equally Weighted Index Series and will: maintain records of the index weightings of all constituents and reserve companies; make changes to the constituents and their weightings in accordance with the Ground Rules; carry out the periodic index reviews of the index and apply the changes resulting from the reviews as required by the Ground Rules; publish changes to the constituent weightings resulting from their ongoing maintenance and the periodic reviews; disseminate the index FTSE is also be responsible for monitoring the performance of the FTSE UK Equally Weighted Index Series throughout the day and will determine whether the status of each index should be Firm, Indicative or Held (see Appendix B). 2.2 Amendments to these Ground Rules These Ground Rules shall be subject to regular review by FTSE Russell to ensure that they continue to meet the current and future requirements of investors and other index users. Any proposals for significant amendments to these Ground Rules will be subject to consultation with FTSE Russell advisory committees and other stakeholders if appropriate. The feedback from these consultations will be considered by the FTSE Russell Product Governance Board before approval is granted As provided for in the Statement of Principles for FTSE Russell Equity Indexes, where FTSE Russell determines that the Ground Rules are silent or do not specifically and unambiguously apply to the subject matter of any decision, any decision shall be based as far as practical on the Statement of Principles. After making any such determination, FTSE Russell shall advise the market of its decision at the earliest opportunity. Any such treatment will not be considered as an exception or change to the Ground Rules, or to set a precedent for future action, but FTSE Russell will consider whether the Ground Rules should subsequently be updated to provide greater clarity. FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

6 Section 3 FTSE Russell Index Policies 3.0 FTSE Russell Index Policies 3.1 These Ground Rules should be read in conjunction with the following policy documents which can be accessed using the links below: 3.2 Corporate Actions and Events Guide for Non Market Cap Weighted Indexes Full details of changes to constituent companies due to corporate actions and events can be accessed in the Corporate Actions and Events Guide for Non Market Cap Weighted Indexes using the following link: Corporate_Actions_and_Events_Guide_for_Non_Market_Cap_Weighted_Indices.pdf 3.3 Statement of Principles for FTSE Russell Equity Indexes (the Statement of Principles) Indexes need to keep abreast of changing markets and the Ground Rules cannot anticipate every eventuality. Where the Ground Rules do not fully cover a specific event or development, FTSE Russell will determine the appropriate treatment by reference to the Statement of Principles which summarises the ethos underlying FTSE Russell s approach to index construction. The Statement of Principles is reviewed annually and any changes proposed by FTSE Russell are presented to the FTSE Russell Policy Advisory Board for discussion before approval by the FTSE Russell Product Governance Board. The Statement of Principles can be accessed using the following link: Statement_of_Principles.pdf 3.4 Queries, Complaints and Appeals A constituent or prospective constituent company (or professional advisor acting on behalf of the company), a national organisation or a group of no fewer than ten users of the indexes from different organisations acting in their professional capacity may appeal against decisions taken by FTSE Russell. FTSE Russell s complaints procedure can be accessed using the following link: Benchmark_Determination_Complaints_Handling_Policy.pdf FTSE Russell s Appeal Process can be accessed using the following link: Appeals_Against_Decisions.pdf FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

7 3.5 Index Policy for Trading Halts and Market Closures Guidance for the treatment of index changes in the event of trading halts or market closures can be found using the following link: Index_Policy_for_Trading_Halts_and_Market_Closures.pdf 3.6 Index Policy in the Event Clients are Unable to Trade a Market Details of FTSE Russell s treatment can be accessed using the following link: Index_Policy_in_the_Event_Clients_are_Unable_to_Trade_a_Market.pdf 3.7 Recalculation Policy and Guidelines The FTSE UK Equally Weighted Index Series is recalculated whenever errors or distortions occur that are deemed to be significant. Users of the FTSE UK Equally Weighted Index Series are notified through appropriate media. For further information refer to the FTSE Russell Recalculation Policy and Guidelines document which is available from the FTSE Russell website using the link below or by contacting info@ftserussell.com. Recalculation_Policy_and_Guidelines_Equity_Indexes.pdf 3.8 Policy for Benchmark Methodology Changes Details of FTSE Russell s policy for making benchmark methodology changes can be accessed using the following link: Policy_for_Benchmark_Methodology_Changes.pdf FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

8 Section 4 Eligible Securities 4.0 Eligible Securities 4.1 Each index in the FTSE UK Equally Weighted Index Series derives constituents from the underlying index, as detailed in the table below. FTSE UK Equally Weighted Indexes FTSE 100 Equally Weighted Index FTSE 250 ex Investment Trusts Equally Weighted Index FTSE 350 ex Investment Trusts Equally Weighted Index Underlying Index FTSE 100 Index FTSE 250 ex Investment Trusts Index FTSE 350 ex Investment Trusts Index 4.2 All aspects of the management of index calculation, constituent review and company classification for constituents of the FTSE UK Equally Weighted Index Series are as described in the FTSE UK Index Series Ground Rules. FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

9 Section 5 Periodic Review of Constituent Companies 5.0 Periodic Review of Constituent Companies 5.1 Review Dates The FTSE UK Equally Weighted Index Series is reviewed on a quarterly basis in line with the FTSE UK Index Series. The weighting procedure is implemented after the close of business on the third Friday (i.e. effective Monday) of March, June, September and December. 5.2 Index Weighting At the quarterly review, each FTSE UK Equally Weighted Index will be equally weighted by company. The weighting of companies that consist of multiple securities will be distributed across each line in proportion to investable market capitalisation Prices used in the review will be as of the close of business on the Wednesday before the first Friday of March, June, September and December, adjusted for corporate actions. Shares and free float adjustments used will be as at the review implementation date. FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

10 Section 6 Changes to Constituent Companies 6.0 Changes to Constituent Companies 6.1 Intra-review Additions Additions into the FTSE UK Equally Weighted Indexes will be implemented in line with their addition to the corresponding underlying indexes if the addition results in the deletion of an existing constituent. The addition will be added to the index at the weight of the company it replaces Where more than one addition occurs simultaneously, all new additions will be included in the relevant FTSE UK Equally Weighted Index at the average weight of the constituents being removed Where the addition does not cause an existing constituent to be deleted, FTSE UK Equally Weighted Indexes will remain unchanged and the addition will be considered for inclusion at the next index review of the FTSE UK Equally Weighted Indexes Where an Investment Trust is removed from an underlying index, the replacement constituent to the underlying index will be considered for inclusion in the FTSE UK Equally Weighted Index Series at the next periodic review. 6.2 Intra-review Deletions A constituent will be removed from a FTSE UK Equally Weighted Index if it is also removed from the corresponding underlying FTSE UK Index. The replacement constituent will be added to the index at the weight of the company it replaces Where more than one constituent is deleted from an index simultaneously, replacement constituents will be included in the relevant FTSE UK Equally Weighted Index at the average weight of the constituents being removed. FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

11 Section 7 Corporate Actions and Events 7.0 Corporate Actions and Events 7.1 If a constituent in a FTSE UK Index has a stock split, stock consolidation, rights issue, bonus issue, a change in the number of shares in issue or a change in free-float, the constituent s weighting in the FTSE UK Equally Weighted Index Series remains unchanged pre and post such an event. 7.2 Full details of changes to constituent companies due to corporate actions and events can be accessed in the Corporate Actions and Events Guide for Non Market Cap Weighted Indexes using the following link: Corporate_Actions_and_Events_Guide_for_Non_Market_Cap_Weighted_Indices.pdf A Corporate Action is an action on shareholders with a prescribed ex date. The share price will be subject to an adjustment on the ex date. These include the following: Capital Repayments Rights Issues/Entitlement Offers Stock Conversion Splits (sub-division) / Reverse splits (consolidation) Scrip issues (Capitalisation or Bonus Issue) A Corporate Event is a reaction to company news (event) that may impact the index depending on the index rules. For example, a company announces a strategic shareholder is offering to sell their shares (secondary share offer) this could result in a free float weighting change in the index. Where an index adjustment is required FTSE Russell will provide notice advising of the timing of the change. 7.3 Takeovers, Mergers and Demergers The treatment of takeovers, mergers and demergers can be found within the Corporate Actions and Events Guide for Non Market Cap Weighted Indexes. FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

12 7.4 The table below summarises the treatment of demergers if both demerged companies are retained in a FTSE UK Equally Weighted Index: Date Description Constituents Action Calculation Constituents t-1 Pre demerger A None None 100 T Demerger A' & B B is demerged from A A=A'+B 101 t+1 Deletion A'', B' & C C is deleted A''=B'=(A'+B+C)/2 100 Where: A is stock pre-demerger A & B are demerged stocks with theoretical prices A & B are demerged stocks after 1st day of trading C is stock being deleted from the underlying FTSE UK Index 7.5 If the newly spun-off company from a demerger is not included in the FTSE UK Index, it will not be included in the FTSE UK Equally Weighted Index Series. The existing constituent will therefore retain the same weight as prior to the demerger. FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

13 Section 8 Index Calculation 8.0 Index Calculation 8.1 Prices The FTSE UK Equally Weighted Indexes will use actual trades on SETS. 8.2 Calculation Frequency The FTSE UK Equally Weighted Indexes will be calculated in real-time using real time prices. 8.3 Index Calculation The FTSE UK Equally Weighted Indexes will be displayed to two decimal points The FTSE UK Equally Weighted Indexes is calculated using the following formula: Where, i=1,2,,n N i 1 p e i i si f d N is the number of securities in the index. p i is the latest trade price of the component security (or the price at the close of the Index on the previous day). e i is the exchange rate required to convert the security s currency into the index s base currency. s i is the number of shares in issue used by FTSE Russell for the security, as defined in these Ground Rules. f i is the Investability Weighting Factor to be applied to a security to allow amendments to its weighting, expressed as a number between 0 and 1, where 1 represents a 100% free float. This factor is published by FTSE Russell for each security in the underlying index. c i is the Weight Adjustment Factor to be applied to a security to correctly weight that security in the index. This factor maps the investable market capitalisation of each stock to a notional market capitalisation for inclusion in the index. i c i FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

14 d is the divisor, a figure that represents the total issued share capital of the index at the base date. The divisor can be adjusted to allow changes in the issued share capital of individual securities to be made without distorting the index. FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

15 Appendix A: Index Opening and Closing Hours Open Close FTSE 100 Equally Weighted Index 08:00 16:30 FTSE 250 ex Investment Trusts Equally Weighted Index 08:00 16:30 FTSE 350 ex Investment Trusts Equally Weighted Index 08:00 16:30 Notes: 1. Closing prices will be London Stock Exchange Official Closing Price. 2. The index will not be calculated on UK Public Holidays and may close early on the business day prior to the Christmas and New Year Public Holidays. 3. Timings are London hours (GMT or BST). FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

16 Appendix B: Status of Index The FTSE UK Equally Weighted Index Series which is calculated in real time may exist in the following states. Official Market Hours are defined as that period when SETS is open for order execution. A) Firm B) Closed i) The Index is being calculated during Official Market Hours on actual trades from SETS. No message will be displayed against the index value. ii) The Official Closing Price for FTSE UK Equally Weighted Index Series will be the London Stock Exchange Official Closing Price. The Index has ceased all calculations for the day. The message 'CLOSE' will be displayed against the index value calculated by FTSE Russell. C) Held During Official Market Hours, an index has exceeded pre-set operating parameters and the calculation has been suspended pending resolution of the problem. The message 'HELD' will be displayed against the last index value calculated by FTSE Russell. D) Indicative If there is a system problem or situation in the market that is judged to affect the quality of the constituent prices at any time when an index is being calculated, the index will be declared indicative (e.g. normally where a 'fast market' exists in the equity market). The message 'IND' will be displayed against the index value calculated by FTSE Russell. The official opening and closing hours of the FTSE UK Equally Weighted Index Series are set out in Appendix A. Variations to the official hours of the Index will be published by FTSE Russell. FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17

17 Appendix C: Further Information A Glossary of Terms used in FTSE Russell s Ground Rule documents can be found using the following link: Glossary.pdf Further information on the FTSE UK Equally Weighted Index Series is available from FTSE Russell. For contact details please visit the FTSE Russell website or contact FTSE Russell client services at info@ftserussell.com. Website: London Stock Exchange Group plc and its applicable group undertakings (the LSE Group ). The LSE Group includes (1) FTSE International Limited ( FTSE ), (2) Frank Russell Company ( Russell ), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, FTSE Canada ) and (4) MTSNext Limited ( MTSNext ), (5) Mergent, Inc. ( Mergent ), (6) FTSE Fixed Income LLC ( FTSE FI ) and (7) The Yield Book Inc ( YB ). All rights reserved. The FTSE UK Equally Weighted Index Series is calculated by or on behalf of FTSE or its affiliate, agent or partner. FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator. FTSE Russell is a trading name of FTSE, Russell, FTSE Canada, MTSNext, Mergent, FTSE FI and YB. FTSE, Russell, FTSE Russell MTS, FTSE4Good, ICB, Mergent, WorldBIG, USBIG, EuroBIG, AusBIG, The Yield Book and all other trademarks and service marks used herein (whether registered or unregistered) are trade marks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, MTSNext, FTSE Canada, Mergent, FTSE FI or YB. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for any errors or for any loss from use of this publication or any of the information or data contained herein. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE UK Equally Weighted Index Series or the fitness or suitability of the Index for any particular purpose to which it might be put. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this document should be taken as constituting financial or investment advice. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group index data and the use of their data to create financial products require a licence with FTSE, Russell, FTSE Canada, MTSNext, Mergent, FTSE FI, YB and/or their respective licensors. FTSE Russell FTSE UK Equally Weighted Index Series, v2.1, January of 17